Are you talking about the Export Frame button in the Program Monitor panel in Premiere Pro?
I suspect that you're not---that you're actually talking about the Take Snapshot button at the bottom of the Composition panel in After Effects.
The reason that I'm confused is that you're asking in the Premiere Pro forum, but you mentioned the button making a sound, which happens in After Effects.
Anyway, if you're talking about After Effects, the snapshots aren't written to disk; that's not what they're for. See this page.
If you're talking about Premiere Pro, just click the button again, and you'll see the path to where the exported frames are written.